Deadline June

Adamus · Mar 7, 2011, 4:19pm

Rather than just wondering what a certain change in my system will do to the results and trying to find out by running a brute force optimisation for a parameter, I thought I'd try a more intelligent approach so I output the profit and the dailiy ATR for the simplest realistic system.

Enter 5 points on limit away from the Sunday Open on opposite side from Friday's close in direction of Friday's close.
Exit Monday at 21:00GMT+0.

The results are perhaps predictable. 2000 - 2008: the higher the ATR, the less profitable it is.

The first chart is the simple net count of profitable trades - losing trades where the ATR as a % of price is 0 - 1%, 1 - 2%, 2 - 3% etc. The second is the total profit.

I figure I should consult with some excel whizzkid because I'm doing this stuff by cutting and pasting formulae from cell to cell to build up a massive table of data, but there must be ways of coding a formula in one cell or running a built-in excel function.

Adamus · Mar 7, 2011, 4:25pm

I'm still trying to get somewhere with British Telecom. For every one email I get out of them, I have to send at least three.

Their support staff told me I could get around the problem using a VPN. I reminded them it was a problem that they cause.

They then told me, after I divulged that I actually make money from my activities using their broadband, that I should get a business broadband account because they were only residential support and had no capability to test the software I was using that had broadband problems. They also said in a tacit admission of guilt that "BT does shape internet traffic to ensure the vast majority of our customers can use the service for consumer related internet tasks." What happened to net neutrality? ****ers!

drolles · Mar 8, 2011, 3:06am

Quote:

Originally Posted by Adamus

Thanks for the link. I'll check it out if I get hacked off with my current source control methodology - saving the ninjascript in the excel spreadsheet where I save the backtest results, a tab per backtest including settings, results, trades, equity curve and periods.

Back-ups are something extra to take care of but otherwise it's simple but effective.

In the long term and previously I use a home-grown java app, but it's currently on blocks in the garage at the moment after I ran into database performance issues that I couldn't solve immediately.

Adamus,

Thanks for the reply.

Again, if you want to look at it, I’m happy to help. I can talk you though how I set it up.

For back-ups I use Carbonite (http://www.carbonite.co.uk/). This is a great app and very cheap for unlimited back-ups. It has some quirks (particularly around NT and file directories), but overall I’m very happy with it. By the same token you only really test a back-up service when you need to restore and I haven’t had to do that yet (touch wood).

Cheers,

Drolles

Adamus · Mar 8, 2011, 6:36pm

Quote:

Originally Posted by Adamus

Here's another potential area for improvement. The new bar is still only half way through so it might come back in the right direction but what I often see is a strong move against the trade trips the reversal switch and the retracement turns it into a whipsaw.

It's particularly hard psychologically since it was getting close to target - so maybe these losers rank higher in my memory than they should. Let's see how it develops.

... so - it just bounced around a hell of a lot. What can be learnt from it - I think the amount of bouncing around could be measured somehow - a different kind of measure of volatility, say the size of the candle wicks in relation to the whole candle, could be used to widen the stop a bit, might save a couple of trades from being caught by spikes. That verges on curve fitting though.

More bouncing around - this time the GBP/AUD. The exotic pairs seem to do this a lot. This time it cost a few quid. What can be done about it - maybe check the level of 'bouncing around' and not trade if it's high.

Adamus · Mar 13, 2011, 1:26pm

Quote:

Originally Posted by Adamus

Long Term Goals

(1) Achieve compounding account growth. This was "Make a million" but aiming for geometric increases in equity makes more sense than just "a million" which is pretty arbitrary.

(2) Build a trading platform that does all the good things I need that I know from the various different trading platforms I've used or evaluated, e.g. TradeStation, NinjaTrader, TradingBlox as an open-source collaborative project made up of trader-developers.

Bought myself a 7 Habits calendar which helps to do this goal setting and prioritization.

Just for the record and to finish my public goal setting, my goal number one has to be "Make 10 million".

Getting to 100K will be a major struggle.

Getting to 1 million will be easier, but a struggle still.

If I can get to 1 million from here using a well defined strategy, putting well designed systems in place with thoroughly worked-out risk management, then getting to 10 million is almost guaranteed, so my end goal here has to be to make 10 million pounds.

sm1 · Mar 14, 2011, 5:41am

Adamus,
What software would you advise for walk-forward tests.
Thanks

Quote:

Originally Posted by Adamus

I see a couple of explanations for this failure.

(1) I applied such whacky algorithms there was no way they were going to work out of sample

(2) a phase of market action happened in the last 4 months of the walk-forward that had never appeared in the optimisation window.

(3) 6 months is too long for a walk-forward - I should stick to 3 months (would have been nice). Pardo wrote his book in the early 90's, things have probably got more challenging since then.

(4) I have too many different components in the algorithm. It's a break-out system, so I have (a) a mid-point finder (b) a range finder for the limits either side of the mid-point (c) a filter (d) a stop distance calculator. Perhaps optimising against all of those is too much curve-fitting.

So what can a trader do?

(1) reduce the walk-forward window to 3 months. This probably reduces the chances of 'unseen' market types cropping up. It is probably more likely that the current market behaviour at the end of the optimisation window will continue through the walk-forward.

(2) stop optimising one or two of the algorithm components - i.e. lock down the stops to 2 times the average true range - or stick with one filter

Adamus · Mar 14, 2011, 6:49am

Quote:

Originally Posted by sm1

Adamus,
What software would you advise for walk-forward tests.
Thanks

Hi Sm1

there's no easy answer there. I only know Ninja Trader 7. I've got experience of old versions of Trade Station, I've heard from others about MetaTrader, Amibroker and Trading Blox, and I've looked at and wondered about others like NeoTicker.

To answer your question properly, you'd need to do a Which?-style magazine article with all the different features and prices and so on listed in a review of each platform.

NinjaTrader is probably the newest, so think lots of features AND lots of bugs, but it has some gaps such as not giving you portfolio analysis out-of-the-box. However some of its forward testing functionality is really good, and for that, it's free - although perhaps the others are too.

I think Trading Blox is the top of the range for portfolio analysis.

I guess Trade Station and Amibroker probably also rank quite well.

You might also think about the data question, where you're going to get it and how easy it is to import into your chosen platform.

Adamus · Mar 18, 2011, 9:26am

Has anybody bought YTC Price Action Trader?

I read his newsletter - and I only actually subscribe to 5 trading newsletters - and I always find something interesting in there so I figured his PDF ebook would be good value for money.

The only sticking point is that it's pretty much twice the price I'd be prepared to pay for it ($200) if it was a normal trading book in a bookstore. Plus of course if it's only an ebook, then it's probably not nearly as well edited as a real book.

Mar 7, 2011, 4:19pm	#833
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	Gap Filler system building using analysis rather than brute force Rather than just wondering what a certain change in my system will do to the results and trying to find out by running a brute force optimisation for a parameter, I thought I'd try a more intelligent approach so I output the profit and the dailiy ATR for the simplest realistic system. Enter 5 points on limit away from the Sunday Open on opposite side from Friday's close in direction of Friday's close. Exit Monday at 21:00GMT+0. The results are perhaps predictable. 2000 - 2008: the higher the ATR, the less profitable it is. The first chart is the simple net count of profitable trades - losing trades where the ATR as a % of price is 0 - 1%, 1 - 2%, 2 - 3% etc. The second is the total profit. I figure I should consult with some excel whizzkid because I'm doing this stuff by cutting and pasting formulae from cell to cell to build up a massive table of data, but there must be ways of coding a formula in one cell or running a built-in excel function. Attached Thumbnails __________________ What matters most is how well you walk through the fire. Last edited by Adamus; Mar 7, 2011 at 4:35pm.

Mar 7, 2011, 4:25pm	#834
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	British Telecom, or the Dept of Circumlocution I'm still trying to get somewhere with British Telecom. For every one email I get out of them, I have to send at least three. Their support staff told me I could get around the problem using a VPN. I reminded them it was a problem that they cause. They then told me, after I divulged that I actually make money from my activities using their broadband, that I should get a business broadband account because they were only residential support and had no capability to test the software I was using that had broadband problems. They also said in a tacit admission of guilt that "BT does shape internet traffic to ensure the vast majority of our customers can use the service for consumer related internet tasks." What happened to net neutrality? ***ers! __________________ What matters most is how well you walk through the fire.*

Mar 18, 2011, 9:26am	#840
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	Your Trading Coach / YTC Price Action Trader Has anybody bought YTC Price Action Trader? I read his newsletter - and I only actually subscribe to 5 trading newsletters - and I always find something interesting in there so I figured his PDF ebook would be good value for money. The only sticking point is that it's pretty much twice the price I'd be prepared to pay for it ($200) if it was a normal trading book in a bookstore. Plus of course if it's only an ebook, then it's probably not nearly as well edited as a real book. __________________ What matters most is how well you walk through the fire.

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